Testing mean stationarity of intraday volatility curves

Torben G. Andersen, Yingwen Tan, Viktor Todorov and Zhiyuan Zhang

Quantitative Economics, 2025, vol. 16, issue 3, 1059-1091

Abstract: We develop a test for mean stationarity of latent volatility curves using high‐frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for real‐time risk management and market activity measurement, including identification of spot volatility and the size of price jumps.

Date: 2025
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https://doi.org/10.3982/QE2644

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Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:16:y:2025:i:3:p:1059-1091

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